Scheme names consist of a sequence of characters. The lower case
letters "a"--"z", digits, and the characters plus ("+"), period
("."), and hyphen ("-") are allowed. For resiliency, programs
interpreting URLs should treat upper case letters as equivalent to
lower case in scheme names (e.g., allow "HTTP" as well as "http").
Из процитированного нигде не видно, что «_» разрешено. То, что ты написал это в своём имени домена, не означает, что это разрешено и будет поддерживаться всеми.
The DNS itself places only one restriction on the particular labels that can be used to identify resource records. That one restriction relates to the length of the label and the full name. [...] Implementations of the DNS protocols must not place any restrictions on the labels that can be used. In particular, DNS servers must not refuse to serve a zone because it contains labels that might not be acceptable to some DNS client programs.
Ага, понял. Это в RFC 1738 (Uniform Resource Locators):
host
The fully qualified domain name of a network host, or its IP address as a set of four decimal digit groups separated by ".". Fully qualified domain names take the form as described in Section 3.5 of RFC 1034 [13] and Section 2.1 of RFC 1123 [5]: a sequence of domain labels separated by ".", each domain label starting and ending with an alphanumerical character and possibly also containing "-" characters.